Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 4 4 4
Score 3.89 2.68 3.59
Market Cap (Millions USD) 841544.07 823145.39 798904.78
Predicted Beta 1.72 1.7 1.66
Idiosyncratic Volatility 0.81 0.85 0.84

Annualized return and volatility

VTI
Annualized Return 0.0786
Annualized Std Dev 0.1831
Annualized Sharpe (Rf=0%) 0.4294

Row

Daily Return Statistics

VTI
Observations 4741.0000
NAs 373.0000
Minimum -0.0935
Quartile 1 -0.0041
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0056
Maximum 0.1283
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0115
Skewness -0.0001
Kurtosis 10.1271

Downside Risk

VTI
Semi Deviation 0.0083
Gain Deviation 0.0083
Loss Deviation 0.0092
Downside Deviation (MAR=210%) 0.0130
Downside Deviation (Rf=0%) 0.0082
Downside Deviation (0%) 0.0082
Maximum Drawdown 0.5545
Historical VaR (95%) -0.0179
Historical ES (95%) -0.0279
Modified VaR (95%) -0.0162
Modified ES (95%) -0.0206
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2012-03-13 -0.5545 1133 364 769
2001-07-03 2002-10-09 2004-01-15 -0.3466 649 322 327
2018-09-21 2018-12-24 2019-04-23 -0.2005 148 66 82
2015-06-24 2016-02-11 2016-06-08 -0.1513 246 164 82
2012-04-03 2012-06-04 2012-08-17 -0.1006 97 43 54

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec VTI
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA 0.0 0.4 0.0 -0.9 2.1 0.0 0 1.6
2002 -0.6 2.0 0.1 0.8 0.0 -2.5 -2.6 0.0 3.8 2.1 0.0 0 2.9
2003 0.0 0.0 1.4 -0.1 0.0 0.7 -1.2 0.0 2.0 0.0 1.0 0 3.9
2004 0.0 1.0 0.5 0.0 0.1 -1.0 0.0 0.2 1.6 0.1 1.3 0 3.9
2005 0.6 0.6 -0.4 0.0 0.8 0.4 -0.1 0.0 0.0 0.2 1.3 0 3.2
2006 0.4 0.9 0.0 -0.5 1.3 0.0 -0.5 0.6 0.0 -0.8 -0.3 0 1.0
2007 0.6 -0.3 0.0 0.2 0.4 0.0 0.6 0.0 1.3 -2.5 0.0 0 0.2
2008 1.6 0.0 3.4 1.8 0.0 0.5 -0.4 0.0 -0.1 0.0 -8.9 0 -2.7
2009 0.0 0.0 2.0 0.6 2.5 0.6 0.0 -2.2 -2.6 0.0 1.2 0 1.9
2010 1.5 1.2 0.7 0.0 -2.1 -0.4 0.0 2.9 0.4 0.0 2.1 0 6.6
2011 1.6 -1.7 0.5 0.0 -2.3 1.4 -0.4 -1.1 0.0 -2.7 0.0 0 -4.6
2012 1.2 0.8 0.0 0.6 -2.6 0.0 -0.4 0.0 0.2 1.3 0.0 0 1.0
2013 1.0 0.2 -0.5 -1.0 0.0 0.8 1.3 0.0 0.9 0.1 0.0 0 2.8
2014 0.0 0.0 0.8 0.0 0.0 0.7 -0.3 0.0 -1.3 0.0 -0.8 0 -0.9
2015 0.0 0.0 -0.2 0.9 0.2 0.7 0.0 -2.9 0.2 0.0 0.9 0 -0.2
2016 0.0 2.4 0.6 0.0 0.3 0.2 -0.1 0.1 0.0 -0.7 -0.4 0 2.2
2017 0.0 1.3 0.0 0.3 0.9 0.0 0.2 0.2 0.0 0.1 -0.2 0 2.9
2018 0.0 -1.2 0.0 0.2 1.0 0.0 -0.1 0.0 0.2 1.1 0.0 0 1.1
2019 0.1 0.7 1.2 -0.7 0.0 0.7 -0.9 0.0 -1.3 1.1 0.0 0 0.8

Row

Rolling Performance Chart

Snail Trail Chart